There is a put option on a stock with the exercise price K-$100 and the maturity...

 

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There is a put option on a stock with the exercise price K-$100 and the maturity T = 1 year. The stock's current price S-$100, the volatility is 19.8%, and the dividend return is 5%. The risk-fre rate is 2%, and the expected return of the stock is 5%. The volatility, the dividend rate, the risk-free rate, and the expected return are all annual values. What is one-day Delta VaR(.05) approximation of the put option? Do not assume that the expected changes in the option values are zero. (Use the attached Excel spreadsheet. Use 3 decimal figures for your answer.) There is a put option on a stock with the exercise price K-$100 and the maturity T = 1 year. The stock's current price S-$100, the volatility is 19.8%, and the dividend return is 5%. The risk-fre rate is 2%, and the expected return of the stock is 5%. The volatility, the dividend rate, the risk-free rate, and the expected return are all annual values. What is one-day Delta VaR(.05) approximation of the put option? Do not assume that the expected changes in the option values are zero. (Use the attached Excel spreadsheet. Use 3 decimal figures for your answer.)

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To calculate the oneday Delta VaR approximation you would need the following information 1 The delta ... View the full answer